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Conditional Stein approximation for Itô and Skorohod integrals.

Authors :
Privault, Nicolas
She, Qihao
Source :
Statistics & Probability Letters. Sep2017, Vol. 128, p1-7. 7p.
Publication Year :
2017

Abstract

We derive conditional Edgeworth-type expansions for Skorohod and Itô integrals with respect to Brownian motion, based on cumulant operators defined by the Malliavin calculus. As a consequence we obtain conditional Stein approximation bounds for multiple stochastic integrals and quadratic Brownian functionals. [ABSTRACT FROM AUTHOR]

Subjects

Subjects :
*MALLIAVIN calculus
*EDGEWORTH expansions
*STOCHASTIC integrals
*BROWNIAN motion
*LAPLACE transformation

Details

Language :
English
ISSN :
01677152
Volume :
128
Database :
Academic Search Index
Journal :
Statistics & Probability Letters
Publication Type :
Periodical
Accession number :
123866854
Full Text :
https://doi.org/10.1016/j.spl.2017.04.001
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